`ttrpy.util.trange` module

Source code

# Author: joelowj
# License: Apache License, Version 2.0

import pandas as pd


def trange(df, high, low, close, tr):
    """
    Welles Wilder described these calculations to determine the trading range
    for a stock or commodity. True Range is defined as the largest of the
    following:

    - The distance from today's high to today's low.
    - The distance from yesterday's close to today's high.
    - The distance from yesterday's close to today's low.

    Parameters:
        df (pd.DataFrame): DataFrame which contain the asset information.
        high (string): the column name for the period highest price  of the asset.
        low (string): the column name for the period lowest price of the asset.
        close (string): the column name for the closing price of the asset.
        tr (string): the column name for the tr values.

    Returns:
        df (pd.DataFrame): Dataframe with the true range calculated.

    """

    prev_close = df[close].shift(1)
    df["h-l"] = df[high] - df[low]
    df["h-pc"] = df[high] - prev_close
    df["pc-l"] = prev_close - df[low]
    df = df.dropna().reset_index(drop=True)
    df[tr] = df[["h-l", "h-pc", "pc-l"]].max(axis=1)
    df.drop(["h-l", "h-pc", "pc-l"], axis=1, inplace=True)

    return df

Functions

def trange(df, high, low, close, tr)

Welles Wilder described these calculations to determine the trading range for a stock or commodity. True Range is defined as the largest of the following:

The distance from today's high to today's low.
The distance from yesterday's close to today's high.
The distance from yesterday's close to today's low.

Parameters

df : pd.DataFrame: DataFrame which contain the asset information.
high : string: the column name for the period highest price of the asset.
low : string: the column name for the period lowest price of the asset.
close : string: the column name for the closing price of the asset.
tr : string: the column name for the tr values.

Returns

df : pd.DataFrame: Dataframe with the true range calculated.

Source code

def trange(df, high, low, close, tr):
    """
    Welles Wilder described these calculations to determine the trading range
    for a stock or commodity. True Range is defined as the largest of the
    following:

    - The distance from today's high to today's low.
    - The distance from yesterday's close to today's high.
    - The distance from yesterday's close to today's low.

    Parameters:
        df (pd.DataFrame): DataFrame which contain the asset information.
        high (string): the column name for the period highest price  of the asset.
        low (string): the column name for the period lowest price of the asset.
        close (string): the column name for the closing price of the asset.
        tr (string): the column name for the tr values.

    Returns:
        df (pd.DataFrame): Dataframe with the true range calculated.

    """

    prev_close = df[close].shift(1)
    df["h-l"] = df[high] - df[low]
    df["h-pc"] = df[high] - prev_close
    df["pc-l"] = prev_close - df[low]
    df = df.dropna().reset_index(drop=True)
    df[tr] = df[["h-l", "h-pc", "pc-l"]].max(axis=1)
    df.drop(["h-l", "h-pc", "pc-l"], axis=1, inplace=True)

    return df